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Methods for the Solution of Linear Systems Deriving from Elliptic Pdes

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Methods for the Solution of Linear Systems Deriving from Elliptic Pdes Chapter 3 Methods for the Solution of Linear Systems Deriving from Elliptic PDEs A finite volume discretisation of the elliptic PDEs (Partial Differential Equations) used to describe a fluid mechanics problem generates a large sparse set of linear equations. Typically a CFD algorithm will involve the repetitive solution of a Poisson pressure equation along with scalar transport equations for momentum, enthalpy, concentration, and any other fields of interest. Normally the program will spend most of its execution time in solving these linearised equations, and so the efficiency of the linear solvers underpins the efficiency of the solution method as a whole. Therefore a crucial aspect of any efficient solution of a fluid mechanics problem is the speed that these linear(ised) equations can be solved. In this chapter a number of different algorithms for the solution of linear equations are discussed and their resource use is compared, both in terms of speed and memory use. Whilst there are many papers comparing two or three linear solvers, comparisons of several classes of linear solver are rare in the literature. Ferziger and Peric’´ s book[43] compares a number of methods, but the comparisons are made in terms of number of iterations to converge instead of time to converge, a rather meaningless measure due to the variation in computation effort per iteration amongst the solvers. Botta et al[14] compare a number of methods, however the solvers were written by different groups and so there is the possibility that some of the variation in performance is due to different coding standards. In both cases the number of methods covered is less than in the current study. This chapter is divided into two parts; the first describes the linear solvers, whilst the second discusses their suitability for the solution of the equations that result from a finite volume discretisation of elliptic PDEs. 3.1 A Description of the Linear Solvers Methods for solving linear equations can be divided into two classes, direct methods (i.e., those which execute in a predetermined number of operations) and iterative methods (i.e., those which attempt to converge to the desired answer in an unknown number of repeated steps). Direct methods are often used for small dense problems, but for the large sparse problems which are typically encountered in the solution of PDEs, iterative methods are usually more efficient. The direct methods which are discussed here are Gauss Jordan elimination, LU (Lower Upper) fac- torisation, Cholesky factorisation, LDL (Lower Diagonal Lower ) decomposition, Tridiagonal and Block Tridiagonal methods. 52 CHAPTER 3. LINEAR SOLVERS 53 Four classes of iterative solver are also discussed; ¡ simple iterative methods, such as Jacobi iteration, SOR (Successive Over Relaxation), Red- Black SOR, and SSOR (Symmetric Successive Over Relaxation). ¡ incomplete factorisation schemes, such as Incomplete Cholesky (IC), ILU (Incomplete LU fac- torisation), SIP (Strongly Implicit Procedure, also known as Stone’s method), and MSI (Modified Strongly Implicit procedure). ¡ Krylov space methods, such as the CG (Conjugate Gradient), CGS (Conjugate Gradient Squared), GMRES (General Minimalised Residual), QMR (Quasi-Minimalised Residual), BiCG (Bi-Conjugate Gradient) and BiCGSTAB (Bi-Conjugate Gradient Stabilised) methods. ¡ multigrid schemes. The distinction between the classes of iterative solvers blurs somewhat since multigrid methods can be considered as an acceleration technique to improve the performance of the simple iterative and incom- plete factorisation methods, and Krylov-space methods can use the simple iterative and incomplete factorisation methods as preconditioners. A Krylov space method using an incomplete factorisation smoothed multigrid preconditioner is a solver that combines three of the classes of iterative solver. 3.1.1 Linear Equations Resulting from a Finite Volume Discretisation of a PDE The general form of a set of linear equations can be written, ¢¤£¦¥¨§ © (3.1) or considering the individual equation ¥! (3.2) #" For a set of equations resulting from a finite volume discretisation of a three dimensional PDE on a structured mesh, the coefficient matrix ¢ will typically take on a hepta-diagonal structure, with the non-zero components occupying only seven diagonals of the matrix. For a two dimensional PDE there will be only five diagonals which are non zero, and for a one dimensional PDE there are three non- zero diagonals. This regular structure enables a considerable reduction in memory use and the number of operations performed since only these seven diagonals need to be stored and operated upon. Using the compass notation of the equations discussed previously in Section 2.1 the above linear equation becomes ¥- .© (3.3) $ $&%'( ()%*,+ + for a discretisation of a one dimensional PDE, ¥! 0© (3.4) $ $ ( ( + + %* %' %* %'/ / for a discretisation of a two dimensional PDE, and ¥- 0© (3.5) $ $ ( ( + + %' %' %* %'/ /1%* %*2 2 for a three dimensional PDE. The subscript 3 refers to the point at which the equation is centred, ©657©8¦©69:©<; = and the 4 and subscripts refer to the neighbouring East, West, North, South, Top and CHAPTER 3. LINEAR SOLVERS 54 Bottom points respectively (see Figure 2.2). As a notational simplification equations (3.3) to (3.5) can be rewritten as ¥- 0© >@? >@? (3.6) $ $ % >@? ©C57©C8¦©C9D©<; 4 = where AB represents the neighbouring points and . For some systems the equations are symmetric, ¢E¥¤¢ (3.7) " This is commonly the case in diffusion problems, or in the solution of a pressure correction equation. Some of the linear solvers can take advantage of this symmetry at the cost of being only applicable to symmetric systems. In the more general case the equations are non-symmetric, which is the case with a transport equation with advection. 3.1.2 Direct Methods Direct solvers are not commonly used in solving finite volume equations for the very good reason that they scale poorly with problem size, both in terms of memory and number of operations. A notable exception is the Thomas tridiagonal algorithm which is unfortunately only applicable to one- dimensional PDEs. However a multidimensional block tridiagonal method can be developed. LU (Lower Upper) Factorisation For solving dense systems of equations LU factorisation is commonly used. It has a similar operation count to Gaussian elimination but allows the efficient solution of many right hand sides. The following description of such a solver follows that of Press et al[133]. A more thorough description of the method can be found in Golub and Van Loan[51]. A matrix ¢ can be factored into lower and upper triangular components such that, ¥-¢ FHG (3.8) " This decomposition can be used to solve the equation, ¢¤£&¥JI £&¥ I £ ¥¤§M© F G K FHGLK (3.9) by first solving for the vector N such that ¥¤§M© F N (3.10) and then solving £)¥ G N (3.11) " The solution of the upper and lower triangular set of equations is trivial, since equation (3.10) can be solved by forward substitution, ¥ © O P RS P © ¥¨Z,©[\© 8¦© ¥ Q V O O @XY P (3.12) UT W "]"^" CHAPTER 3. LINEAR SOLVERS 55 where N is the number of equations, followed by the solution of equation,(3.11) by backward substi- tution, O ¥ © _ RS Q ¥ © ¥-8 ©8 Z O _ ,@XY Q Q (3.13) _ UT T T "]"^" " ^` ¢ The only problem remaining is factoring into FaG , a process that can be performed using Crout’s ¥ ©6Z© 8 Q algorithm. For each column of the matrix, b , "]"]" ¥ © _ ¥ © ¥-Z©C[ © V _ _ c c Q T "^"]" T c ¥ © _ Q (3.14) V P ¥ P © _ c c gf Q0dHe T c V P ¥ P © ¥ © Z 8 P _ f c c e Q b b T % % "^"]" " c ¢ The algorithm for factoring the array into the FaG arrays is given in Figure 3.1, with the solution I £h¥i§ of the system FHGLK being given in Figure 3.2. ¥ ©6Z 8 Q for b ¥ "^"]" _ ¥-Z,©[ Q b for ¥ "]"]" T _ _ c c c W V ¥ T'j _ Q P ¥ P _ _ c c gm c Q.dlk V j T ¥ © Z© 8 Q b b for % % "]"]" P ¥¨P P _ c c nm c k V T'j ¢ Figure 3.1: Factoring into FaG . P ¥¨ O d ¥!Z©C[ 8 for "^"]" P P ¥ O O om d k V j UT ¥ _ O d ¥-8 ©C8 Z Q Q for T T "]"^" ¥ O _ _ g,nm k d j UT ^` I £h¥i§ Figure 3.2: Solving the system FHGpK . For a system of 8 equations (which would correspond to the N points on a finite volume mesh) the 8&q 8 I8&s K storage requirement for an LU factorisation is , whilst the number of operations is of r % CHAPTER 3. LINEAR SOLVERS 56 I8&q K for factorisation, and r for solution. For a sparse system of equations such a scheme is rather ¢ inefficient since 8 is likely to be large, and most of is zero. A more efficient band diagonal version where the array is stored as a band only wide enough to store the farthest off-band diagonal is implemented in Press et al[133]. For symmetric matrices where ¢t¥¤¢ a more efficient factorisation which takes advantage of the ¢u¥ symmetry is the Cholesky factorisation FHF (sometimes referred to as the square root of the ¢E¥ matrix), and the LDL (Lower Diagonal Lower ) factorisation FHv-F [51]. Both give a threefold reduction in the number of operations compared to LU factorisation, but the LDL method is to be preferred since the Cholesky factorisation requires 8 square root operations, which can be a slow operation on many computers. For a general system of equations pivoting, where the equations of the system are reordered, is nec- essary to ensure numerical stability. However, for the equations resulting from a discretised elliptic PDE, in particular the equations resulting from the pressure equation given in Equation (4.23), the system is diagonally dominant and no pivoting is necessary[51, 133].
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